Matthias Scherer is professor for Risk and Insurance at TUM. His research interests comprise the pricing and risk management of insurance contracts and financial derivatives, probability theory, statistics, and efficient numerical tools. He is particularly interested in dependence concepts / copula models and multivariate financial problems. He holds a Diploma in "Wirtschaftsmathematik" from Ulm University (2005) and a Master’s degree in "Mathematics" from Syracuse University (2004). In his dissertation, supervised by Prof. Rüdiger Kiesel, he constructed a multivariate default model. He joined TUM in 2007, where he coordinated the elite graduate program "Finance and Information Management" until 2009. Prof. Scherer is a member of the board of the DGVFM and member of the advisory councils of FIRM and RiskNet.
Euthum, M., Scherer M. and Ungolo F.: A neural network approach for the mortality analysis of multiple populations: a case study on data of the Italian population. European Actuarial Journal, 2024 more…
Zeller, G. and Scherer. M.: Is accumulation risk in cyber methodically underestimated? European Actuarial Journal, 2024 more…
2023
Engel J., Ohlwerter D. and Scherer M.: On the estimation of distributional household wealth – Solving under-reporting via optimization problems. European Central Bank Working Paper Series, 2023, 2865 more…
Genest, C. and Scherer, M: When copulas and smoothing met: An interview with Irène Gijbels. Dependence Modeling , 2023 more…
Mai J. F., Blagoeva A., and Scherer M.: A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall–Olkin dependence. Frontiers of Mathematical Finance, 2023 more…
Zeller G. and Scherer M.: Risk mitigation services in cyber insurance: Optimal contract design and price structure. The Geneva Papers on Risk and Insurance—Issues and Practice, 2023 more…
2022
Brück F., Mai J. and Scherer M.: Exchangeable min-id sequences: Characterization, exponent measures and non-decreasing id-processes. Extremes, 2022 more…
2021
Engel J., Pagano A. and Scherer M.: A block-structured model for banking networks across multiple countries. Journal of Network Theory in Finance, 2021 more…
Laeven R.J.A.; Milevsky M.A.; Scherer M.; Zagst R.; Zhou X.Y.: Editorial to the special issue on Behavioral Insurance: Mathematics and Economics. Insurance: Mathematics and Economics 101, 2021, 1-5 more…
Scherer, M.; Stahl, G.: The Standard Formula of Solvency II: A critical discussion. European Actuarial Journal (11), 2021, 3-20 more…
Zeller, G.; Scherer, M.: A comprehensive model for cyber risk based on marked point processes and its application to insurance. European Actuarial Journal, 2021 more…
2020
Genest, C. and Scherer, M: Insurance applications of dependence modeling: An interview with Edward (Jed) Frees. Dependence Modeling , 2020 more…
Genest, C. and Scherer, M: The gentleman copulist: An interview with Carlo Sempi. Dependence Modeling , 2020 more…
Gräler B., Hüttner A. and Scherer M.: Geostatistical modeling of dependent credit spreads: Estimation of large covariance matrices and imputation of missing data. Journal of Banking and Finance, 2020 more…
Mai J. F. and Scherer M.: On the structure of exchangeable extreme-value copulas. Journal of Multivariate Analysis, 2020 more…
Min, A.; Scherer, M.; Schischke, A.; Zagst, R.: Modeling Recovery Rates of Small- and Medium-Sized Entities in the US. Mathematics 8 (11), 2020 more…
Sloot, H.; Scherer, M.: A probabilistic view on semilinear copulas. Information Sciences 512, 2020, 258-276 more…
2019
Bienek, T.; Scherer, M.: Valuation of Contingent Guarantees using Least-Squares Monte Carlo. ASTIN Bulletin: The Journal of the IAA 49 (1), 2019, 31-56 more…
Engel, J.; Pagano, A.; Scherer, M.: Reconstructing the topology of financial networks from degree distributions and reciprocity. Journal of Multivariate Analysis (172), 2019, 210-222 more…
Genest, C. and Scherer, M: The world of vines - An Interview with Claudia Czado. Dependence Modeling , 2019 more…
Mai J. F. and Scherer M.: Subordinators which are infinitely divisible w.r.t. time: Construction, properties, and simulation of max-stable sequences and infinitely divisible laws. Latin American Journal of Probability and Mathematical Statistics (16), 2019, 1 - 29 more…
Neslehová, J.G., Fougères, A., McNeil, A.J. and Scherer, M.: Editorial for the Special Issue on Dependence Models. Journal of Multivariate Analysis, 2019 more…
Scherer, M.; Sloot, H.: Exogenous shock models: Analytical characterization and probabilistic construction. Metrika 82 (8), 2019, 931-966 more…
2018
Bienek, T.; Scherer, M.: Hedging and Valuation of Contingent Guarantees. Working Paper, 2018 more…
Fernández, L.; Scherer; M.: Emil J. Gumbel's last course on the "Statistical theory of extreme values'': a conversation with Tuncel M. Yegulalp. Extremes 21 (1), 2018, 97-113 more…
Krause, D.; Scherer, M.; Schwinn, J.; Werner, R.: Membership testing for Bernoulli and tail-dependence matrices. Journal of Multivariate Analysis (168), 2018, 240-260 more…
Puccetti, G.; Scherer, M: Copulas, credit portfolios, and the broken heart syndrome. Dependence Modeling , 2018 more…
2017
Bollmann, L.; Scherer, M.: Modeling Influenza-Like Illness Activity in the United States. North American Actuarial Journal 21 (3), 2017, 323-342 more…
Durante, F., Puccetti, G., Scherer, M., Vanduffel, S.: Distribuzioni con marginali assegnate: Gli Inizi - Un'intervista con Giorgio Dall'Aglio. Lettera Matematica, 2017 more…
Durante, F., Puccetti, G., Scherer, M., Vanduffel, S.: The Vine Philosopher - An interview with Roger Cooke. Dependence Modeling , 2017 more…
Durante, F.; Puccetti, G.; Scherer, M.; Vanduffel, S.: My introduction to copulas - An interview with Roger Nelsen. Dependence Modeling (5), 2017, 88-98 more…
Fernández, L.; Scherer, M.: Simulating Lévy-frailty copulas built from alpha-stable Lévy-subordinators. Working Paper, 2017 more…
Mai, J.-F.; Schenk, S.; Scherer, M.: Two Novel Characterizations of Self-Decomposability on the Half-Line. Journal of Theoretical Probability 30 (1), 2017, 365–383 more…
2016
Bannör, K. F.; Kiesel, R.; Nazarova, A.; Scherer, M.: Parametric Model Risk and Power Plant Valuation. Energy Economics , 2016, 423-434 more…
Brigo, D.; Mai, J.-F.; Scherer, M.: Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law. Statistics and Probability Letters, 2016, 60-66 more…
Durante, F., Puccetti, G., Scherer, M., Vanduffel, S: Stat Trek - An interview with Christian Genest. Dependence Modeling , 2016 more…
Durante, F., Puccetti, G., Scherer, M., Vanduffel, S.: Distributions with given marginals: the beginnings. Dependence Modeling , 2016 more…
Durante, F.; Puccetti, G.; Scherer, M.; Vanduffel, S.: Stat Trek - An interview with Christian Genest. Dependence Modeling (4), 2016, 109 - 122 more…
Hüttner, A.; Scherer, M.: A note on the valuation of CDS options and extension risk in a structural model with jumps. Journal of Financial Engineering 03 (02), 2016 more…
Mai, J.-F.; Schenk, S.; Scherer, M.: Analyzing model robustness via distortion of the stochastic root: A Dirichlet prior approach. Statistics & Risk Modeling 32 (3-4), 2016, 177–195 more…
Scherer, M.; Schulz, T.: Extremal dependence for bilateral credit valuation adjustments. International Journal of Theoretical and Applied Finance (IJTAF) 19 (7), 2016 more…
2015
Bernhart, G.; Mai, J.-F.; Schenk, S.; Scherer, M.: The density of distributions from the Bondesson class. Journal of Computational Finance 18 (3), 2015, 99-128 more…
Bernhart, G.; Mai, J.-F.; Scherer, M.: On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions. Dependence Modeling (3), 2015, 29–46 more…
Durante, F.; Puccetti, G.; Scherer, M.: Building bridges between Mathematics, Insurance and Finance. Dependence Modeling (3), 2015, 17-28 more…
Durante, F.; Puccetti, G.; Scherer, M.: A Journey from Statistics and Probability to Risk Theory. Dependence Modeling (3), 2015, 182-195 more…
Hieber, P.; Korn, R.; Scherer, M.: Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees. European Actuarial Journal 5 (1), 2015, 11-28 more…
Krause, D.; Scherer, M.: Bernoulli and tail-dependence matrices: A simple numerical test. Working Paper, 2015 more…
2014
Bannör, K. F.; Scherer, M.: On the calibration of distortion risk measures to bid-ask prices. Quantitative Finance 14 (7), 2014, 1217-1228 more…
Escobar, M.; Hieber, P.; Scherer, M.: Efficiently pricing double barrier derivatives in stochastic volatility models. Review of Derivatives Research 17 (2), 2014, 191–216 more…
Höcht, S.; Scherer, M.; Spitaler, P.: Pricing and hedging CDO tranches using latent one-factor models: An empirical study. The Capco Institute Journal of Financial Transformation 40, 2014, 49-64 more…
Mai, J.-F.; Olivares, P.; Schenk, S.; Scherer, M.: A multivariate default model with spread and event risk. Applied Mathematical Finance 21 (1), 2014, 51-83 more…
Mai, J.-F.; Scherer, M.: Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time. Extremes 17 (1), 2014, 77-95 more…
Mai, J.-F.; Scherer, M.; Schulz, T.: Sequential modeling of dependent jump processes. Wilmott Magazine 2014 (70), 2014, 54-63 more…
2013
Bannör, K. F.; Scherer, M.: A BNS-type stochastic volatility model with two-sided jumps, with applications to FX options pricing. Wilmott Magazine 2013 (65), 2013, 58-69 more…
Bannör, K. F.; Scherer, M.: Capturing parameter uncertainty with convex risk measures. European Actuarial Journal 3 (1), 2013, 97-132 more…
Bernhart, G.; Escobar Anel, M.; Mai, J.-F.; Scherer, M.: Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications. Metrika 76 (2), 2013, 179-203 more…
Fernández, L.; Hieber, P.; Scherer, M.: Double-barrier first-passage times of jump-diffusion processes. Monte Carlo Methods and Applications 19 (2), 2013, 107-141 more…
Hieber, P.; Scherer, M.: Modeling credit portfolio derivatives, including both a default and a prepayment feature. Applied Stochastic Models in Business and Industry 29 (5), 2013, 479-495 more…
Mai, J.-F.; Scherer, M: What makes dependence modeling challenging? Pitfalls and ways to circumvent them. Statistics and Risk Modeling 30 (4), 2013, 287–306 more…
Mai, J.-F.; Scherer, M.: Sampling exchangeable and hierarchical Marshall-Olkin distributions. Communications in Statistics – Theory and Methods 42 (4), 2013, 619-632 more…
Mai, J.-F.; Scherer, M.: Extendibility of Marshall-Olkin distributions and inverse Pascal triangles. Brazilian Journal of Probability and Statistics 27 (3), 2013, 310–321 more…
Mai, J.-F.; Scherer, M.; Shenkman, N.: Multivariate geometric distributions, (logarithmically) monotone sequences, and infinitely divisible laws. Journal of Multivariate Analysis 115, 2013, 457–480 more…
2012
Hieber, P.; Scherer, M.: A note on first-passage times of continuously time-changed Brownian motion. Statistics and Probability Letters 82 (1), 2012, 165-172 more…
Mai, J.-F.; Scherer, M.: H-extendible copulas. Journal of Multivariate Analysis 110, 2012, 151-160 more…
Scherer, M.; Schmid, L.; Schmidt, T.: Shot-noise driven multivariate default models. European Actuarial Journal 2 (2), 2012, 161-186 more…
2011
Escobar, M.; Hieber, P.; Scherer, M.; Seco, L.: Portfolio optimization in a multidimensional structural-default model with a focus on private equity. Journal of Private Equity 15 (1), 2011, 26–35 more…
Hofert, M.; Scherer, M.: CDO pricing with nested Archimedean copulas. Quantitative Finance 11 (5), 2011, 775-787 more…
Kiesel, R.; Scherer, M.: Credit portfolio modelling in structural models with jumps. working paper, 2011, - more…
Mai, J.-F.; Scherer, M.: Reparameterizing Marshall-Olkin copulas with applications to sampling. Journal of Statistical Computation and Simulation 81 (1), 2011, 59-78 more…
Mai, J.; Scherer, M.: Bivariate extreme-value copulas with discrete Pickands dependence measure. Extremes 14 (4), 2011, 311-324 more…
Ruf, J.; Scherer, M.: Pricing corporate bonds in an arbitrary jump-diffusion model based on an improved Brownian-bridge algorithm. Journal of Computational Finance 14 (3), 2011, 127-145 more…
2010
Durante, F.; Hofert, M.; Scherer, M.: Multivariate hierarchical copulas with shocks. Methodology and Computing in Applied Probability 12 (4), 2010, 681-894 more…
Hering, C.; Hofert, M.; Mai, J.; Scherer, M.: Constructing hierarchical Archimedean copulas with Lévy subordinators. Journal of Multivariate Analysis 101 (6), 2010, 1428-1433 more…
Hieber, P.; Scherer, M.: Efficiently pricing barrier options in a Markov-switching framework. Journal of Computational and Applied Mathematics 235 (3), 2010, 679-685 more…
Hofert, M.; Scherer, M.; Zagst, R.: Modeling the Evolution of Implied CDO Correlations. Financial Markets and Portfolio Management 24 (3), 2010, 289-308 more…
Mai, J.; Scherer, M.: The Pickands representation of survival Marshall-Olkin copulas. Statistics and Probability Letters 80 (5/6), 2010, 357-360 more…
2009
Ernst, C.; Grossmann, M.; Höcht, S.; Minden, S.; Scherer, M.; Zagst, R.: Portfolio Selection under Changing Market Conditions. International Journal of Financial Services Management 4 (1), 2009, 48-63 more…
Mai, J.; Scherer, M.: Pricing k-th to default swaps in a Lévy-time framework. Journal of Credit Risk 5 (3), 2009, 55-70 more…
Mai, J.; Scherer, M.: Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions. Information Sciences 179 (17), 2009, 2872-2877 more…
Mai, J.; Scherer, M.: A tractable multivariate default model based on a stochastic time-change. International Journal of Theoretical and Applied Finance 12 (2), 2009, 227-249 more…
Mai, J.; Scherer, M.: Lévy-frailty copulas. Journal of Multivariate Analysis 100 (7), 2009, 1567-1585 more…
Fernández L., Scherer M.: Looking for an ideal solution. In: Emil Julius Gumbel als Mathematiker, politischer Publizist und Privatperson. Universitätsverlag Winter Heidelberg, 2022 more…
Scherer M., Wiegand I.: Ich habe noch nicht 10 % von dem geschrieben, was ich wusste... In: Emil Julius Gumbel. Mathematiker – Publizist – Pazifist. Universitätsverlag Winter Heidelberg, 2022 more…
2021
Zeller G. and Scherer M.: Die Cyberversicherung: ein integraler Bestandteil des Cyberrisikomanagements. In: FIRM Jahrbuch 2021. FIRM, 2021, 22-26 more…
2019
Fernández L.and Scherer M.: Emil Julius Gumbel (1891-1966) – 1. In: Fitas, Augusto (Ed.): Cultura Científica e Neo-Realismo. Edições Colibri, 2019 more…
2018
Brigo, D.; Mai, J.-F.; Scherer, M.; Sloot, H.: Consistent iterated simulation of multivariate defaults: Markov indicators, lack of memory, extreme-value copulas, and the Marshall-Olkin distribution. In: Innovations in Insurance, Risk- and Asset Management. World Scientific , 2018 more…
2017
Engel, J.; Scherer, M.; Spiegelberg, L.: One-Factor Lévy-Frailty Copulas with Inhomogeneous Trigger Rates. In: Soft Methods for Data Science. Springer International Publishing, 2017, 205-212 more…
2016
Brigo, D.; Fries, C.; Hull, J.; Scherer, M.; Sommer, D.; Werner, R.: FVA and electricity bill valuation adjustment – much of a difference? Springer Verlag, 2016, 147-168 more…
Felsenheimer, J.; Mai, J.-F.; Scherer, M.: Legale Risiken in Anleiheprospekten. In: FIRM Jahrbuch 2016. Frankfurter Institut für Risikomanagement und Regulierung, 2016, 83-84 more…
Fernández, L.; Scherer, M.: Emil J. Gumbel - Ein Statistiker der Extreme. RISIKO MANAGER (05/2016), 2016, 33-39 more…
2015
Bannör, K. F.; Scherer, M.; Schulz, T.: A two-sided Gamma-OU-BNS model for multicurrency FX markets. In: Innovations in Quantitative Risk Management. Springer International Publishing, 2015 more…
Bernhart, B.; Fernández, L.; Mai, J.-F.; Schenk, S.; Scherer M.: A survey of dynamic representations and generalizations of the Marshall–Olkin distribution. Proceedings in Mathematics & Statistics, 2015, 1-13 more…
Bernhart, G.; Mai, J.-F.; Schenk, S.; Scherer, M.: Factor copulas constructed from stochastic processes. Oberwolfach Reports (20), 2015, 47-49 more…
Ebach, E. M.; Scherer, M.; Schneider, L.: Was verraten Index-Optionen über zukünftige Abhängigkeiten? RISIKO MANAGER (11), 2015, 1-7 more…
Fernández, L.; Mai, J.-F.; Scherer M.: The mean of Marshall-Olkin dependent exponential random variables. Proceedings in Mathematics & Statistics, 2015, 33-50 more…
Höcht, S.; Kunze, M.; Scherer, M.: Implied Recovery Rates - Auction and Models. In: Innovations in Quantitative Risk Management. Springer International Publishing, 2015 more…
Bannör, K. F.; Scherer, M.: Model risk and uncertainty – Illustrated with examples from mathematical finance. In: C. Klüppelberg, D. Straub, and L. Welpe (Ed.): Risk - A Multidisciplinary Introduction. Springer, 2014, - more…
Khedher, A.; Scherer, M.: Was sind Lévy-Prozesse? RISIKO MANAGER (15), 2014, 6-13 more…
Khedher, A.; Scherer, M.; Schulz, T.: Statistische Eigenschaften und historische Parameterschätzung. RISIKO MANAGER (17), 2014, 8-14 more…
Mai, J.-F.; Scherer, M.: Simulating from the copula that generates the maximal probability for a joint default under given (inhomogeneous) marginals. In: Topics in Statistical Simulation. Springer, 2014 more…
2012
Mai, J.-F.; Scherer, M.: Die Welt ist nicht normal (verteilt). RISIKO MANAGER (25), 2012, 6-11 more…
Mai, J.-F.; Scherer, M.; Shenkman, N.: An analytical characterization of the exchangeable wide-sense geometric law. In: Advances in Intelligent Systems and Computing. Springer Verlag, 2012, - more…
Mai, J.-F.; Scherer, M; Zagst, R.: CIID Default Models and Implied Copulas. In: Copulae in Mathematical and Quantitative Finance, Proceedings of the Workshop Held in Cracow, 10-11 July 2012. Springer Verlag, 2012, 201-230 more…
Mai, J.-F.; Scherer, M.: CDO Bewertung mittels Marshall-Olkin Copulas. In: Jochen Felsenheimer, Wolfgang Klopfer (Assenagon Credit Management GmbH) (Ed.): Kreditmärkte im Wandel. Wiley, 2011, - more…
2010
Höcht, S.; Scherer, M.; Seegerer, P.: Cross asset portfolio derivatives. In: Kiesel, R.; Scherer, M.; Zagst, R. (Ed.): Alternative Assets and Strategies. World Scientific, Singapore, 2010, 175-197 more…
Kiesel, R.; Scherer, M.: Structural default risk models. In: Encyclopedia of Quantitative Finance. John Wiley & Sons, 2010, - more…
Mai, J.-F.; Scherer, M.: On analytical similarities of Archimedean and exchangeable Marshall-Olkin copulas. In: F. Durante, F.; Haerdle, W.; Jaworski, P.; Rychlik, T. (Ed.): Workshop on Copula Theory and its Applications. Lecture Notes in Statistics - Proceedings. Springer, Berlin/Heidelberg, 2010, 299-311 more…
Scherer, M.; Zagst, R.: Jarrow-Lando-Turnbull model. In: Cont, R. (Ed.): Encyclopedia of Quantitative Finance. Wiley, 2010, 985-987 more…
Scherer, M.; Zagst, R.: Modeling and pricing credit derivatives. In: Menéndez, S.C.; F Pérez, J.L. (Ed.): Contemporary Mathematics (Mathematics in Finance). American Mathematical Society, 2010, 111-146 more…
2009
Biere, A.; Scherer, M.: The robust calibration of a structural-default model with jumps. In: Proceedings of the 3rd International Conference on Risk Management and Global e-Business. Inha University, Incheon, Korea, 2009, 945-954 more…
Romeike, F.; Scherer, M.: Chancen-Risiko-Klassifizierung für Basis- und Riester-Renten: Orientierungshilfe für Privatkunden - Ein Interview mit Prof. Dr. Ralf Korn, RISIKO MANAGER (6), 2017, 12-13
Scherer, M.: „Akribische Vorbereitung und kein Zufall" - Ein Interview mit Benedikt Doll, RISIKO MANAGER (6), 2017, 22-23
Scherer, M.: Nachberichterstattung zur Konferenz „Innovations in Insurance, Risk- and Asset Management“, RISIKO MANAGER (6), 2017, 42-45
Scherer, M.: Emil J. Gumbel, Festvortrag zum 70. Geburtstag von Prof. Dr. J. Dorfmeister, Jahrbrief 2016 der Hurwitz-Gesellschaft, 2017, 9-10
Romeike, F.; Scherer, M.: „Die Zukunft gehört den Stresstestmodellen" - Ein Interview mit Christian Bluhm, RISIKO MANAGER (1), 2017, 32-34
Scherer, M.: „Modelle leisten immer noch gute Dinge" - Ein Interview mit David X. Li, RISIKO MANAGER (10), 2016, 24-30
Romeike, F.; Scherer, M.: „Wenn du eine Handlung erwägst, von der du nicht willst, dass sie morgen in der Zeitung steht, dann verzichte lieber darauf!" - Ein Interview mit Prof. Paul Embrechts, RISIKO MANAGER (5), 2016, 26-30
Romeike, F.; Scherer, M.: „Risikoaufschlag satte 900 Basispunkte" - Ein Interview mit Andreas Kolbe, RISIKO MANAGER (5), 2016, 14-16
Romeike, F.; Scherer, M.: „Risiken werden nicht mehr richtig bepreist" - Ein Interview mit Jürgen Stark, RISIKO MANAGER (3), 2016, 24-26
Scherer, M.: Book Review on "Dependence Modeling with Copulas'' by Harry Joe. Journal of the American Statistical Association (110) 512, 2015, 1819-1820
Durante, F.; Puccetti, G.; Scherer, M.: Building bridges between Mathematics, Insurance and Finance, Journal of Actuarial Committe, Shanghai Insurance Institute (10/02), 2015, 26-35, Chinesische Übersetzung
Klüppelberg, C.; Scherer, M. Finanz- und Versicherungsmathematik. In: Studien- und Berufsplaner Mathematik: Schlüsselqualifikation für Technik, Wirtschaft und IT. Springer Fachmedien Wiesbaden, 2014, 78-85
